AVP, Risk Quant

Posted By Gulf Recruitments
First Abu Dhabi Bank - Abu Dhabi - Job Description The purpose of the job is to manage the pricing models and other risk models, and enhance the risk modelling. The candidate will review the models used by Global Markets for pricing and hedging derivatives and the models used by Risk and Credit Department for monitoring the Bank positions. The candidate will assist in developing the model risk framework, ensure that models are validated before deployment in the production, monitor the outcomes of the validation, track recommendations in timely fashion and mitigate the limitations arising from the models. KEY ACCOUNTABILITIES: Review the model assumptions, model implementation and by implementing independent tests. Recommend appropriate model reserves that would mitigate model limitations / assumptions, used for pricing Enhance existing Market Risk Models used for VaR, ES and risk monitoring in the following asset classes: IR, FX, Equity, Commodity and Credit. Perform full model validation not limited to P&L, ...

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